Post your vol-trade here

[El OchoCinco]

I saw sub 40% in last few earnings reports but I don't feel confident in predicting that to be honest. Stock looks perched on the edge of a cliff...

 

[destriero]

Yeah, I used to trade DJX vs. components; short delta DJX combo and long delta in street. It worked great but was cap-constrained. You would lean on 200 and the bid would disappear.

 

[TheBigShort]

Garman & Klass model used to calculate HV to reduce some of the earnings noise.

 

[TheBigShort]

Yeah, I used to trade DJX vs. components; short delta DJX combo and long delta in street. It worked great but was cap-constrained. You would lean on 200 and the bid would disappear.

What was your avg days to expiration for this and what delta did you like selling on the index?

 

[destriero]

What was your avg days to expiration for this and what delta did you like selling on the index?

It was ca 2011-12 and I was probably short 10-20 in the serial 25-30 days to exp. IIRC we would go long D in 7 or 8 components. We got correlation data from bbg and orats. It was doing well over 20% on debit, but after a few months we couldn't get any size done without NBBO dropping 5% after 500 lots.

 

[destriero]

132P flies would work well for the index side. I'll post a hypo short dispersion setup tomorrow once I look into the components. A lot has changed in 6 years. {cough} GE {cough}

 

[destriero]

Just eyeballin' to see what I'd trade:

The DJX Aug17 245/250/260 231P from 4.15 debit (short 22D per).

Long-delta flies in the following; DIS, INTC, HD, XOM, IBM, JNJ, GS, JPM, MCD, UNH, WMT, MMM, BA.

 

[destriero]

100-lot in DJX + 100 lot of ATM single name flies + short a YM = dirty dispersion. You're flat to long gamma in the components and long $1,100 thetas at inception. I may have to give this a whirl.

 

[TheBigShort]

Just eyeballin' to see what I'd trade:

The DJX Aug17 245/250/260 231P from 4.15 debit (short 22D per).

Long-delta flies in the following; DIS, INTC, HD, XOM, IBM, JNJ, GS, JPM, MCD, UNH, WMT, MMM, BA.

hmmm, this looks interesting. With .50 a contract, this could get expensive tho.
I enjoy your 132/231 flies. I have a couple on, but they are not from todays trades. I will post when I put a new one on.

 

[destriero]

hmmm, this looks interesting. With .50 a contract, this could get expensive tho.
I enjoy your 132/231 flies. I have a couple on, but they are not from todays trades. I will post when I put a new one on.

I would do that in my taxable account as my rates are below 0.50. Even at 0.50 rates you're looking at no more than $600 to do a 100/100 disp to open the position. I'd cull the street flies to 10 names.